On strong stationary times and approximation of Markov chain hitting times by geometric sums

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Abstract

For discrete-time, ergodic Markov chains started from stationarity, Fill and Lyzinski (2014) showed that hitting times may sometimes be represented as geometric sums. We extend this, giving explicit bounds in the approximation of hitting times by appropriately chosen geometric sums.
Original languageEnglish
Pages (from-to)74-80
Number of pages7
JournalStatistics and Probability Letters
Volume150
Early online date11 Mar 2019
DOIs
Publication statusPublished - Jul 2019

Keywords

  • Geometric sum
  • Markov chains
  • Passage time
  • Stochastic ordering
  • Strong stationary time

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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